///<summary>
///</summary>
///<param name="unadjustedStartDate"></param>
///<param name="unadjustedEndDate"></param>
///<param name="discountingType"></param>
///<param name="dateAdjustmentConvention"></param>
///<param name="businessCenters"></param>
///<returns></returns>
public static AdjustableDate ToAdjustableDate(DateTime unadjustedStartDate, DateTime unadjustedEndDate,
DiscountingTypeEnum discountingType, string dateAdjustmentConvention, string businessCenters)
{
return(ToAdjustableDate(GetUnadjustedPaymentDate(unadjustedStartDate, unadjustedEndDate,
GetPaymentRelativeTo(discountingType)),
dateAdjustmentConvention, businessCenters));
}
public static Calculation CreateFloating(decimal fixedRate, Money notional, FloatingRateIndex floatingRateIndex, Period tenor,
DayCountFraction dayCountFraction, DiscountingTypeEnum discountingType)
{
var calculation = new Calculation
{
Item = NotionalFactory.Create(notional),
compoundingMethod = CompoundingMethodEnum.None,
compoundingMethodSpecified = true,
dayCountFraction = dayCountFraction,
discounting =
DiscountingHelper.Create(fixedRate, dayCountFraction, discountingType),
Items = new object[] { FloatingRateCalculationHelper.CreateFloating(floatingRateIndex, tenor) }
};
return(calculation);
}
/// <summary>
/// Gets the payment relative to.
/// </summary>
/// <param name="discountingType">Type of the discounting.</param>
/// <returns></returns>
public static PayRelativeToEnum GetPaymentRelativeTo(DiscountingTypeEnum discountingType)
{
var payRelativeTo = PayRelativeToEnum.CalculationPeriodEndDate;
switch (discountingType)
{
case DiscountingTypeEnum.FRA:
payRelativeTo = PayRelativeToEnum.CalculationPeriodStartDate;
break;
case DiscountingTypeEnum.Standard:
payRelativeTo = PayRelativeToEnum.CalculationPeriodEndDate;
break;
}
return(payRelativeTo);
}
/// <summary>
/// Gets the adjusted calculation date schedule.
/// </summary>
/// <param name="cache">The cache.</param>
/// <param name="effectiveDate">The effective date.</param>
/// <param name="intervalToTerminationDate">The interval to termination date.</param>
/// <param name="periodInterval">The period interval.</param>
/// <returns></returns>
/// <param name="businessDayAdjustments">The necessary date adjustment details.</param>
/// <param name="discountingTypeEnum"></param>
/// <param name="nameSpace">The clients namespace</param>
public List <PaymentCalculationPeriod> GetAdjustedPaymentCalculationDateSchedule(ICoreCache cache, DateTime effectiveDate,
Period intervalToTerminationDate, Period periodInterval, BusinessDayAdjustments businessDayAdjustments,
DiscountingTypeEnum discountingTypeEnum, string nameSpace)
{
var adjustedPaymentCalculationDateScheduleList =
new List <PaymentCalculationPeriod>();
List <CalculationPeriod> adjustedDateScheduleList = GetAdjustedCalculationDateSchedule(cache, effectiveDate,
intervalToTerminationDate,
periodInterval,
businessDayAdjustments,
nameSpace);
foreach (CalculationPeriod period in adjustedDateScheduleList)
{
var paymentCalculationPeriod = new PaymentCalculationPeriod
{
adjustedPaymentDate =
discountingTypeEnum == DiscountingTypeEnum.Standard
? period.adjustedEndDate
: period.adjustedStartDate,
adjustedPaymentDateSpecified = true
};
var calc = new object[1];
calc[0] = period;
paymentCalculationPeriod.Items = calc;
adjustedPaymentCalculationDateScheduleList.Add(paymentCalculationPeriod);
}
return(adjustedPaymentCalculationDateScheduleList);
}
public static Discounting Parse(decimal discountingRate, string dayCountFraction, DiscountingTypeEnum discountingTypeEnum)
{
var discounting = new Discounting
{
discountingType = discountingTypeEnum,
discountRate = discountingRate,
discountRateDayCountFraction =
DayCountFractionHelper.Parse(dayCountFraction)
//discountRateSpecified = true
};
return(discounting);
}
public static Discounting Create(decimal?discountingRate, DayCountFraction dayCountFraction, DiscountingTypeEnum discountingTypeEnum)
{
var discounting = new Discounting
{
discountingType = discountingTypeEnum,
discountRateDayCountFraction = dayCountFraction
//discountRateSpecified = true
};
if (discountingRate != null)
{
discounting.discountRate = (decimal)discountingRate;
}
return(discounting);
}
public static Discounting Create(decimal discountingRate, DayCountFraction dayCountFraction, DiscountingTypeEnum discountingTypeEnum)
{
var discounting = new Discounting
{
discountingType = discountingTypeEnum,
discountRate = discountingRate,
discountRateDayCountFraction = dayCountFraction
//discountRateSpecified = true
};
return(discounting);
}
public static Calculation CreateFixed(decimal fixedRate, decimal discountRate, Money notional,
CompoundingMethodEnum compoundingMethod, DayCountFraction dayCountFraction, DiscountingTypeEnum discountingType)
{
var calculation = new Calculation
{
Item = NotionalFactory.Create(notional),
compoundingMethod = compoundingMethod,
compoundingMethodSpecified = true,
dayCountFraction = dayCountFraction,
discounting =
DiscountingHelper.Create(discountRate, dayCountFraction,
discountingType),
Items = new object[] { FixedRateScheduleHelper.Create(fixedRate) }
};
return(calculation);
}
public static Calculation CreateFloating(Money notional, FloatingRateIndex floatingRateIndex, Period tenor, DayCountFraction dayCountFraction, DiscountingTypeEnum discountingType)
{
var calculation = new Calculation
{
Item = NotionalFactory.Create(notional),
compoundingMethod = CompoundingMethodEnum.None,
compoundingMethodSpecified = true,
dayCountFraction = dayCountFraction
};
var discounting = new Discounting
{
discountingType = discountingType,
discountRateDayCountFraction = dayCountFraction
};
calculation.discounting = discounting;
calculation.Items = new object[] { FloatingRateCalculationHelper.CreateFloating(floatingRateIndex, tenor) };
return(calculation);
}
public Discounting(XmlNode xmlNode)
{
XmlNodeList discountingTypeNodeList = xmlNode.SelectNodes("discountingType");
if (discountingTypeNodeList.Count > 1 )
{
throw new Exception();
}
foreach (XmlNode item in discountingTypeNodeList)
{
if (item.Attributes["href"] != null || item.Attributes["id"] == null)
{
if (item.Attributes["id"] != null)
{
discountingTypeIDRef = item.Attributes["id"].Name;
DiscountingTypeEnum ob = DiscountingTypeEnum();
IDManager.SetID(discountingTypeIDRef, ob);
}
else if (item.Attributes.ToString() == "href")
{
discountingTypeIDRef = item.Attributes["href"].Name;
}
else
{
discountingType = new DiscountingTypeEnum(item);
}
}
}
XmlNodeList discountRateNodeList = xmlNode.SelectNodes("discountRate");
if (discountRateNodeList.Count > 1 )
{
throw new Exception();
}
foreach (XmlNode item in discountRateNodeList)
{
if (item.Attributes["href"] != null || item.Attributes["id"] == null)
{
if (item.Attributes["id"] != null)
{
discountRateIDRef = item.Attributes["id"].Name;
XsdTypeDecimal ob = XsdTypeDecimal();
IDManager.SetID(discountRateIDRef, ob);
}
else if (item.Attributes.ToString() == "href")
{
discountRateIDRef = item.Attributes["href"].Name;
}
else
{
discountRate = new XsdTypeDecimal(item);
}
}
}
XmlNodeList discountRateDayCountFractionNodeList = xmlNode.SelectNodes("discountRateDayCountFraction");
if (discountRateDayCountFractionNodeList.Count > 1 )
{
throw new Exception();
}
foreach (XmlNode item in discountRateDayCountFractionNodeList)
{
if (item.Attributes["href"] != null || item.Attributes["id"] == null)
{
if (item.Attributes["id"] != null)
{
discountRateDayCountFractionIDRef = item.Attributes["id"].Name;
DayCountFraction ob = DayCountFraction();
IDManager.SetID(discountRateDayCountFractionIDRef, ob);
}
else if (item.Attributes.ToString() == "href")
{
discountRateDayCountFractionIDRef = item.Attributes["href"].Name;
}
else
{
discountRateDayCountFraction = new DayCountFraction(item);
}
}
}
}
